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FINRA-Interactive Data Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

MARCH Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
APRIL Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 99.8 102.5 104.1 0.0 0.0 0.0 0.0
Weighted Avg. Price 99.8 102.5 104.1 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.5 102.3 104.0 0.0 0.0 0.0 0.0
2nd Quartile Price 99.9 102.5 104.0 0.0 0.0 0.0 0.0
3rd Quartile Price 100.0 102.5 104.1 0.0 0.0 0.0 0.0
4th Quartile Price 100.0 102.5 104.1 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.1 102.5 104.1 0.0 0.0 0.0 0.0
Standard Deviation 0.6 0.1 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 1,688,328.0 2,771,767.1 963,152.1 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 154 271 76 0 0 0 0
FHLMC
AVERAGE PRICE 99.4 102.5 104.1 0.0 * 0.0 0.0
Weighted Avg. Price 100.0 102.5 104.1 0.0 * 0.0 0.0
Avg. Price Bottom 5 Trades 97.7 102.4 104.1 0.0 * 0.0 0.0
2nd Quartile Price 99.9 102.4 104.1 0.0 * 0.0 0.0
3rd Quartile Price 100.0 102.5 104.1 0.0 * 0.0 0.0
4th Quartile Price 100.0 102.5 104.2 0.0 * 0.0 0.0
Avg. Price Top 5 Trades 100.1 102.5 104.1 0.0 * 0.0 0.0
Standard Deviation 1.1 0.1 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 347,352.0 231,898.3 54,025.0 0.0 * 0.0 0.0
     NUMBER OF TRADES 25 24 6 0 * 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MAY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 99.9 102.3 104.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 99.9 102.3 104.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 99.8 102.2 103.9 0.0 0.0 0.0 0.0
2nd Quartile Price 99.8 102.3 103.9 0.0 0.0 0.0 0.0
3rd Quartile Price 99.9 102.3 104.0 0.0 0.0 0.0 0.0
4th Quartile Price 99.9 102.4 104.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 99.9 102.4 104.0 0.0 0.0 0.0 0.0
Standard Deviation 0.1 0.1 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 135,500.0 1,498,450.0 352,950.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 12 51 22 0 0 0 0
FHLMC
AVERAGE PRICE * 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price * 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price * 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price * 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price * 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades * 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation * 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES * 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JUNE Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 102.1 103.8 0.0 0.0 0.0 0.0
Weighted Avg. Price * 102.0 103.8 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 102.0 103.8 0.0 0.0 0.0 0.0
2nd Quartile Price * 102.1 103.8 0.0 0.0 0.0 0.0
3rd Quartile Price * 102.1 103.8 0.0 0.0 0.0 0.0
4th Quartile Price * 102.2 103.9 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades * 102.2 103.8 0.0 0.0 0.0 0.0
Standard Deviation * 0.1 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 309,000.0 102,500.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES * 44 7 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 * * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 * * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 * * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 * * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

MARCH Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 110.3 112.2
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 110.1 112.3
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 110.3 111.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 * 112.1
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 * 112.2
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 * 112.8
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 110.3 113.3
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.7 0.9
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 92,047.5 268,468.1
     NUMBER OF TRADES 0 0 0 0 0 5 23
APRIL Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 95.5 99.1 102.2 104.8 107.1 * *
Weighted Avg. Price 96.2 99.1 102.2 104.8 107.1 * *
Avg. Price Bottom 5 Trades 95.2 98.9 102.1 104.7 107.0 * *
2nd Quartile Price 95.0 99.0 102.1 104.7 107.1 * *
3rd Quartile Price 95.3 99.1 102.2 104.8 107.1 * *
4th Quartile Price 95.4 99.2 102.3 104.8 107.2 * *
Avg. Price Top 5 Trades 95.8 99.6 103.4 105.2 107.2 * *
Standard Deviation 0.9 0.1 0.1 0.1 0.1 * *
     VOLUME OF TRADES (000'S) 142,200.0 9,768,750.0 18,169,347.6 19,119,587.5 2,085,438.8 * *
     NUMBER OF TRADES 15 629 1,466 1,063 171 * *
FHLMC
AVERAGE PRICE * 99.1 102.1 104.7 107.1 * *
Weighted Avg. Price * 100.0 102.1 104.7 107.1 * *
Avg. Price Bottom 5 Trades * 98.9 101.8 104.6 107.0 * *
2nd Quartile Price * 98.9 102.1 104.7 107.0 * *
3rd Quartile Price * 99.0 102.1 104.7 107.1 * *
4th Quartile Price * 99.1 102.2 104.8 107.1 * *
Avg. Price Top 5 Trades * 99.7 102.5 105.0 107.2 * *
Standard Deviation * 0.5 0.2 0.1 0.2 * *
     VOLUME OF TRADES (000'S) * 830,904.3 2,861,735.1 6,855,018.8 204,614.5 * *
     NUMBER OF TRADES * 33 104 189 16 * *
GNMA
AVERAGE PRICE * 100.8 103.5 105.5 106.6 * *
Weighted Avg. Price * 100.7 103.4 105.5 106.6 * *
Avg. Price Bottom 5 Trades * 100.6 103.3 104.7 106.5 * *
2nd Quartile Price * 100.7 103.4 105.4 106.6 * *
3rd Quartile Price * 100.8 103.5 105.5 106.6 * *
4th Quartile Price * 100.8 103.5 105.5 106.7 * *
Avg. Price Top 5 Trades * 102.0 104.5 106.8 107.1 * *
Standard Deviation * 0.4 0.2 0.3 0.2 * *
     VOLUME OF TRADES (000'S) * 1,227,908.4 9,124,507.7 2,432,714.9 324,246.6 * *
     NUMBER OF TRADES * 94 314 247 48 * *
MAY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 94.9 98.9 102.0 104.6 107.0 0.0 0.0
Weighted Avg. Price 94.9 98.9 102.0 104.5 107.0 0.0 0.0
Avg. Price Bottom 5 Trades 94.9 98.8 101.8 104.4 106.9 0.0 0.0
2nd Quartile Price * 98.8 101.9 104.5 106.9 0.0 0.0
3rd Quartile Price * 98.9 102.0 104.6 107.0 0.0 0.0
4th Quartile Price * 98.9 102.1 104.6 107.0 0.0 0.0
Avg. Price Top 5 Trades 94.9 99.0 102.1 104.7 107.0 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.1 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 70,000.0 2,772,200.0 4,391,775.0 8,282,135.0 1,562,195.0 0.0 0.0
     NUMBER OF TRADES 6 22 157 187 37 0 0
FHLMC
AVERAGE PRICE 0.0 * 101.9 104.5 106.9 0.0 0.0
Weighted Avg. Price 0.0 * 101.9 104.5 106.9 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 101.9 104.4 106.9 0.0 0.0
2nd Quartile Price 0.0 * 101.9 104.5 * 0.0 0.0
3rd Quartile Price 0.0 * 101.9 104.5 * 0.0 0.0
4th Quartile Price 0.0 * 101.9 104.6 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 102.0 104.6 106.9 0.0 0.0
Standard Deviation 0.0 * 0.1 0.1 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 1,834,300.0 3,562,800.0 167,000.0 0.0 0.0
     NUMBER OF TRADES 0 * 21 91 10 0 0
GNMA
AVERAGE PRICE 0.0 100.6 103.3 105.3 106.4 0.0 0.0
Weighted Avg. Price 0.0 100.4 103.2 105.2 106.4 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.4 103.1 105.0 106.3 0.0 0.0
2nd Quartile Price 0.0 100.5 103.2 105.2 106.4 0.0 0.0
3rd Quartile Price 0.0 100.6 103.3 105.3 106.4 0.0 0.0
4th Quartile Price 0.0 100.7 103.3 105.3 106.5 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.7 103.6 105.7 106.5 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.2 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 1,410,750.0 7,170,094.1 1,310,980.9 154,800.0 0.0 0.0
     NUMBER OF TRADES 0 21 125 109 23 0 0
JUNE Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 98.7 101.8 104.3 106.7 0.0 0.0
Weighted Avg. Price 0.0 98.7 101.7 104.3 106.7 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 98.6 101.7 104.2 106.7 0.0 0.0
2nd Quartile Price 0.0 98.6 101.7 104.3 106.7 0.0 0.0
3rd Quartile Price 0.0 98.6 101.8 104.4 106.7 0.0 0.0
4th Quartile Price 0.0 98.8 101.8 104.4 106.8 0.0 0.0
Avg. Price Top 5 Trades 0.0 98.7 101.9 104.4 106.8 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.1 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 35,500.0 1,846,327.0 3,173,600.0 81,700.0 0.0 0.0
     NUMBER OF TRADES 0 8 203 147 12 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 101.7 104.3 106.6 0.0 0.0
Weighted Avg. Price 0.0 0.0 101.7 104.3 106.6 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 101.7 104.2 106.6 0.0 0.0
2nd Quartile Price 0.0 0.0 101.6 104.2 * 0.0 0.0
3rd Quartile Price 0.0 0.0 101.7 104.3 * 0.0 0.0
4th Quartile Price 0.0 0.0 101.8 104.3 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 101.8 104.3 106.6 0.0 0.0
Standard Deviation 0.0 0.0 0.1 0.0 0.1 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 1,420,000.0 1,133,000.0 30,000.0 0.0 0.0
     NUMBER OF TRADES 0 0 13 36 5 0 0
GNMA
AVERAGE PRICE 0.0 100.3 103.1 105.0 106.2 0.0 0.0
Weighted Avg. Price 0.0 100.2 103.0 104.9 106.2 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.3 102.9 104.9 106.1 0.0 0.0
2nd Quartile Price 0.0 100.3 103.0 105.0 106.2 0.0 0.0
3rd Quartile Price 0.0 100.3 103.1 105.0 106.2 0.0 0.0
4th Quartile Price 0.0 100.5 103.2 105.1 106.2 0.0 0.0
Avg. Price Top 5 Trades 0.0 100.5 103.2 105.2 106.2 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.1 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 1,299,000.0 3,194,780.0 956,850.0 40,000.0 0.0 0.0
     NUMBER OF TRADES 0 15 178 93 13 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.